Data ..

E

Eriksson

For the record I am a noob, I have never traded anything. Three weeks ago I discovered (!) online trading and have been surfing the web to find out what this is all about....

For some strange reason I am stuck with the idea that forex is the way to go for me. ( I could back up this statement a little)

Since I know something about math, and even computer programming I made few MatLab routines to trade forex curves, and now I am finally getting to the subject..

I get forex data from the Dukascopy website.. 10s, 10m, 1hour..etc This is to my knowledge the best free data supplier(?)

Actually it does not take a rocket scientist to find out that the actual data in these curves is .. well quite misleading due to filtering out of smaller changes in the longer curves... What I mean is.. if you simulate given period of time for eur/usd in 10m curves(one mark every 10 min) you get different outcome than in 1hour curve for same period... I think this is normal of course, since there is a lot of data missing from the 1hour curve..1 mark every hour does not resemble the market quite well..

Here comes the question (finally) How is this in your backtesting software? Do you get "smooth" data feed ? I mean how many marks are there in one year curve for EUR/USD..


best

Eriksson
 
Quote from H2O:

Perhaps this might be an interesting site for you :

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Thanks H2O
I have been testing oanda and trying several of my findings for two weeks now. Some other places too.

The question was perhaps not clear enough..

What kind of data do you guys use for backtesting over the period of one year??

Are these huge files with one tick every 10 sec or one tick every 1 hour? .....

best :)

Eriksson
 
"What kind of data do you guys use for backtesting over the period of one year??

Are these huge files with one tick every 10 sec or one tick every 1 hour? ..... "

I use data from http://disktrading.is99.com/disktrading/ and am using 1 month, 1 week, 1 day, 1 hour, 15 min, 5 min, 1 min and I also have tick data but I have to split the file since it is 1 GB
 
Quote from headcutter:


I use data from http://disktrading.is99.com/disktrading/ and am using 1 month, 1 week, 1 day, 1 hour, 15 min, 5 min, 1 min and I also have tick data but I have to split the file since it is 1 GB
More...

ok thanks headcutter :)

I was just curious, yes long periods of tick data must be quite big.
It seems to me that 10m is close enough to reality to simulate real situations. 1hour (one tick per hour) perhaps if one is only focusing on big swings.

best

Eriksson
 
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